Sounds like you still have Firefox registered as your default web browser. To set IE as your default browser follow these steps:
Internet Explorer 7:
Open Internet Explorer 7, Click "Tools" then "Internet Options" then the "Programs" tab. The middle option on this tab has a button to make IE7 the default web browser.
Internet Explorer 6:
Open Internet Explorer 6, Click "Tools" then "Internet Options" then the "Programs" tab. The bottom option on this tab has a check box to make IE6 the default web browser.
After changing this setting close IE then open Outlook and try a link to see if it opens in the IE browser. If not you may have to do a repair on Outlook through the "Add/Remove Programs" section of the control panel.
PS: I'm assuming you meant "Link" when you said "Short cut" as they are different objects. But it seems you are talking about email and not the desktop so you must be refering to hyper-links (
Internet Short cuts)